Spectral Analysis Informs the Proper Frequency in the Sampling of Financial Time Series Data

Applied econometricians tend to show a long neglect for the proper frequency to be considered while sampling the time series data. The present study shows how spectral analysis can be usefully employed to fix this problem. The case is illustrated with ultra-high-frequency data and daily prices of four selected stocks listed on the Sao Paulo stock exchange.

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Year of publication:	2011
Authors:	Taufemback, Cleiton ; Da Silva, Sergio
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Econophysics \| Spectral analysis \| Aliasing \| Sampling \| Financial time series

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C81 - Methodology for Collecting, Estimating, and Organizing Microeconomic Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008835363